Thanks to this mailing list post I now have a 'Bash here' option in my windows explorer context menu for folders and drives. Simply add this registry script to the windows registry.

Thanks to my self and this little script, I can open a 'windows explorer window here' from within cygwin.

#! /bin/bash
PATH=`cygpath -w $PWD`
/cygdrive/c/WINDOWS/explorer.exe $PATH